MyNixOS website logo
Description

Measures of Risk for the Compound Poisson Risk Process with Diffusion.

Based on the compound Poisson risk process that is perturbed by a Brownian motion, saddlepoint approximations to some measures of risk are provided. Various approximation methods for the probability of ruin are also included. Furthermore, exact values of both the risk measures as well as the probability of ruin are available if the individual claims follow a hypo-exponential distribution (i. e., if it can be represented as a sum of independent exponentially distributed random variables with different rate parameters). For more details see Gatto and Baumgartner (2014) <doi:10.1007/s11009-012-9316-5>.
Metadata

Version

1.1-6

License

Unknown

Platforms (75)

    Darwin
    FreeBSD
    Genode
    GHCJS
    Linux
    MMIXware
    NetBSD
    none
    OpenBSD
    Redox
    Solaris
    WASI
    Windows
Show all
  • aarch64-darwin
  • aarch64-genode
  • aarch64-linux
  • aarch64-netbsd
  • aarch64-none
  • aarch64_be-none
  • arm-none
  • armv5tel-linux
  • armv6l-linux
  • armv6l-netbsd
  • armv6l-none
  • armv7a-darwin
  • armv7a-linux
  • armv7a-netbsd
  • armv7l-linux
  • armv7l-netbsd
  • avr-none
  • i686-cygwin
  • i686-darwin
  • i686-freebsd
  • i686-genode
  • i686-linux
  • i686-netbsd
  • i686-none
  • i686-openbsd
  • i686-windows
  • javascript-ghcjs
  • loongarch64-linux
  • m68k-linux
  • m68k-netbsd
  • m68k-none
  • microblaze-linux
  • microblaze-none
  • microblazeel-linux
  • microblazeel-none
  • mips-linux
  • mips-none
  • mips64-linux
  • mips64-none
  • mips64el-linux
  • mipsel-linux
  • mipsel-netbsd
  • mmix-mmixware
  • msp430-none
  • or1k-none
  • powerpc-netbsd
  • powerpc-none
  • powerpc64-linux
  • powerpc64le-linux
  • powerpcle-none
  • riscv32-linux
  • riscv32-netbsd
  • riscv32-none
  • riscv64-linux
  • riscv64-netbsd
  • riscv64-none
  • rx-none
  • s390-linux
  • s390-none
  • s390x-linux
  • s390x-none
  • vc4-none
  • wasm32-wasi
  • wasm64-wasi
  • x86_64-cygwin
  • x86_64-darwin
  • x86_64-freebsd
  • x86_64-genode
  • x86_64-linux
  • x86_64-netbsd
  • x86_64-none
  • x86_64-openbsd
  • x86_64-redox
  • x86_64-solaris
  • x86_64-windows